Sennheiser CX-300 if you find other inner-ear headphones intrusive..

I love my IE30s and IE 40s made by Ultimate Ears (distributed by M-audio).

Really cool design because they use armature drivers instead of traditional drivers. My IE40s are nearly as accurate (frequency wise) as my Beyerdynamics. I can't say that sound quite as good spatially, but you'll lose that with any in-ear solution.

The IE30s cost US$250, and the IE40s cost US$450. For a bit of a cheaper solution with near the same quality, they also make IE10s and IE20s for $100 and $200. Extremely comfortable, replaceable cable, changeable ear gels / foams, and great sound!

Good stuff. I had an old pair of Shures that I never liked. Very uncomfortable. Sounded decent. I've heard good things about the Klipsche in-ears, but never listened to them. The best, in my book, are the custom fitted ones. You can go through Ultimate Ears to get custom molded in-ears. Crazy nice stuff. Also crazy expensive...

So, all that being said, I'd go with the M-Audio IE-20xb for you. US$200, very comfortable, and sounds amazing...

If you're on a budget, I HIGHLY recommend the Altec Lansing UHP336 in-ears. They are $40 on amazon.com here. They are rebranded Ultimate Ears SuperFi 3 Studio in-ears, which normally sell for $99 or more on amazon.com. For the price, you can't beat them. I've owned the SuperFi 3's for a few years now and really enjoyed the full range they have.

The only caveat would be the size of the part that goes in your ear canal - it's a little larger in this model than it would be in Shures. It will only be a problem if you have extremely tiny ear canals, but I thought I would mention it.